Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems
Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of conditional linearity. A computationally attractive iterated linear least squares estimator (ILLE) is proposed for large non-linear simultaneous equation systems which are conditionally linear in unknown parameters. The estimator is shown to be consistent and its asymptotic efficiency properties are derived. An application is given for a 22-commodity quadratic demand system using household-level data from a time series of repeated cross-sections.
|Date of creation:||1999|
|Date of revision:|
|Publication status:||Published in Journal of Applied Econometrics|
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